Robust return risk measures-Reference-Cited by-同舟云学术

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Robust return risk measures

Published:2017-06-01 Issue:1 Volume:12 Page:5-32
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Bellini Fabio,Laeven Roger J. A.,Rosazza Gianin Emanuela^ORCID

Funder

Netherlands Organization for Scientific Research

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11579-017-0188-x/fulltext.html

Reference40 articles.

1. Bellini, F., Rosazza Gianin, E.: On Haezendonck risk measures. J. Bank. Financ. 32, 986–994 (2008)

2. Bellini, F., Rosazza Gianin, E.: Haezendonck–Goovaerts risk measures and Orlicz quantiles. Insur. Math. Econ. 51, 107–114 (2012)

3. Ben-Tal, A., Teboulle, M.: Expected utility, penalty functions, and duality in stochastic nonlinear programming. Manag. Sci. 32, 1445–1466 (1986)

4. Bernoulli, D.: Exposition of a new theory on the measurement of risk. Econometrica 22, 23–36 (1954). (English translation, 1738)

5. Borch, K.: Equilibrium in a reinsurance market. Econometrica 30, 424–444 (1962)

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